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Department of Actuarial Science (DSA)

The Department of Actuarial Science (DSA) brings together various research activities in insurance, including theories of risk and credibility, pension systems, stochastic models in insurance, and mathematical instruments for finance. The department publishes scientific papers and maintains numerous contacts with both the academic and professional areas of insurance.

 

Site web: http://www.unil.ch/dsa

 


Publications


100 last publications ordered by: publication type  -  year
 

: Peer Reviewed


  N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.

In Press

Albrecher H., Bommier A., Filipovic D., Koch P., Loisel S. ; Schmeiser H. (in press). Insurance: Models, Digitalization, and Data Science. European Actuarial Journal.
Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (in press). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal. Peer Reviewed
Bai L. (in press). Estimation of Change-point Models. Fundamentalnaya i prikladnaya matematika. Peer Reviewed
Bai L. , Liu P. (in press). Drawdown and Drawup for Fractional Brownian Motion with Trend. Journal of Theoretical Probability. Peer Reviewed
Dȩbicki Krzysztof , Hashorva Enkelejd (in press). Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants. Journal of Theoretical Probability.
Dȩbicki Krzysztof, Liu Peng ; Michna Zbigniew (in press). Sojourn Times of Gaussian Processes with Trend. Journal of Theoretical Probability. Peer Reviewed
Raaijmakers Y., Albrecher H. ; Boxma O. (in press). The single server queue with mixing dependencies. Methodology and Computing in Applied Probability. Peer Reviewed

2019

(2019). Special Issue on Long-Term Care Financing and Insurance, The Geneva Papers on Risk and Insurance - Issues and Practice (44). The Geneva Association.
Albrecher H., Bladt M., Kortschak D., Prettenthaler F. ; Swierczynski T. (2019). Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps). Global and Planetary Change, 178, 65-76. Peer Reviewed
Albrecher H. , Cani A. (2019). On randomized reinsurance contracts. Insurance: Mathematics & Economics, 84, 67-78. Peer Reviewed
Albrecher H. , Vatamidou E. (2019). Ruin probability approximations in Sparre Andersen models with completely monotone claims. Risks, 7, 104-117. Peer Reviewed
Albrecher Hansjoerg , Bladt Mogens (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56. Peer Reviewed
Arnold S. , Jijiie A. (2019). Generational transfers within the occupational pension system in Switzerland. European Actuarial Journal. Peer Reviewed
Bai Long (2019). Extremes of Gaussian chaos processes with trend. Journal of Mathematical Analysis and Applications, 473, 1358-1376.
Cheng Dan , Liu Peng (2019). Extremes of spherical fractional Brownian motion. Extremes, 22, 433-457. Peer Reviewed
Costa-Font J., Courbage C. ; Wagner J. (2019). Long-term care insurance research and trajectory. The Geneva Papers on Risk and Insurance - Issues and Practice, 44, 179-182. Peer Reviewed
Debicki Krzysztof , Liu Peng (2019). The time of ultimate recovery in Gaussian risk model. Extremes, 22, 499-521. Peer Reviewed
FUINO Michel (2019). Actuarial and Econometric Studies on Long-Term Care in Switzerland. Université de Lausanne, Faculté des hautes études commerciales. Wagner Joël (Dir.)
Gerber H.U., Shiu E.S.W. ; Yang H. (2019). A constraint-free approach to optimal reinsurance. Scandinavian Actuarial Journal, 2019, 62-79. Peer Reviewed
Guevara Alarcón William Miguel (2019). Data Compression Algorithms, Marine Liability Modeling, and Hierarchical Risk Aggregation in Reinsurance. Université de Lausanne, Faculté des hautes études commerciales. Albrecher Hansjörg (Dir.)
Hashorva Enkelejd (2019). Approximation of some multivariate risk measures for Gaussian risks. Journal of Multivariate Analysis, 169, 330-340. Peer Reviewed
Ling Chengxiu (2019). Extremes of stationary random fields on a lattice. Extremes, 22, 391-411. Peer Reviewed
Ling Chengxiu (2019). Asymptotics of multivariate conditional risk measures for Gaussian risks. Insurance: Mathematics and Economics, 86, 205-215.
Maggetti Martino , Trein Philipp (2019). Multilevel governance and problem-solving: Towards a dynamic theory of multilevel policy-making?. Public Administration. Peer Reviewed
Maichel-Guggemoos L. , Wagner J. (2019, Jan). Balancing growth, profitability and safety in the German insurance market. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2019. Peer Reviewed
Munier F.L., Beck-Popovic M., Chantada G.L., Cobrinik D., Kivelä T.T., Lohmann D. et al. (2019). Conservative management of retinoblastoma: Challenging orthodoxy without compromising the state of metastatic grace. "Alive, with good vision and no comorbidity". Progress in retinal and eye research. Peer Reviewed
Rudnytskyi I. , Wagner J. (2019). Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland: a Structural Equation Model Approach. Risks, 7, 92.

2018

Alai D.H., Arnold S., Bajekal M. ; Villegas A.M. (2018). Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances. North American Actuarial Journal, 22, 161-181. Peer Reviewed
Albrecher H., Bauer D., Embrechts P., Filipović D., Koch-Medina P., Korn R. et al. (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8, 9-25. Peer Reviewed
Albrecher H., Bäuerle N. ; Bladt M. (2018). Dividends: From Refracting to Ratcheting. Insurance: Mathematics and Economics, 83, 47-58. Peer Reviewed
Albrecher H. , Ivanovs J. (2018). Linking dividends and capital injections – a probabilistic approach. Scandinavian Actuarial Journal, 76-83. Peer Reviewed
Arbenz P. , Guevara-Alarcón W. (2018). Piecewise Linear Approximation of Empirical Distributions under a Wasserstein Distance Constraint. Journal of Statistical Computation and Simulation, 88, 3193-3216. Peer Reviewed
Bai L. (2018). Extremes of Lp-norm of vector-valued Gaussian processes with trend. Stochastics, 1-34. Peer Reviewed
Bai L. (2018). Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon. Scandinavian Actuarial Journal, 2018, 514-528. Peer Reviewed
Bai L., Debicki K., Hashorva E. ; Luo L. (2018). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability, 20, 137-164. Peer Reviewed
Bai L., Dȩbicki K. ; Liu P. (2018). Extremes of vector-valued Gaussian processes with Trend. Journal of Mathematical Analysis and Applications, 465, 47-74. Peer Reviewed
Bai Long (2018). Extended Gaussian Threshold Dependent Risk Models. Université de Lausanne, Faculté des hautes études commerciales. Hashorva Enkelejd (Dir.)
Bai Long, Dȩbicki Krzysztof, Hashorva Enkelejd ; Ji Lanpeng (2018). Extremes of threshold-dependent Gaussian processes. Science China Mathematics, 61, 1971-2002. Peer Reviewed
Boumezoued A., Hardy Labit H., El Karoui N. ; Arnold S. (2018). Cause-of-death mortality: What can be learned from population dynamics?. Insurance: Mathematics and Economics, 78, 301-315. Peer Reviewed
Constantinescu C., Hashorva E. ; Kratz M. (2018). Foreword by the Guest Editors of the RARE special issue. Annals of Actuarial Science, 12, 209-210.
Dȩbicki K., Farkas J. ; Hashorva E. (2018). Extremes of randomly scaled Gumbel risks. Journal of Mathematical Analysis and Applications, 458, 30-42. Peer Reviewed
Dȩbicki Krzysztof, Hashorva Enkelejd, Ji Lanpeng ; Rolski Tomasz (2018). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and their Applications, 128, 4171–4206. Peer Reviewed
Dȩbicki Krzysztof , Liu Peng (2018). Extremes of nonstationary Gaussian fluid queues. Advances in Applied Probability, 50, 887-917. Peer Reviewed
Deng P. (2018). The Joint Distribution of Running Maximum of a Slepian Process. Methodology and Computing in Applied Probability, 20, 1123-1135. Peer Reviewed
Dombry Clément, Hashorva Enkelejd ; Soulier Philippe (2018). Tail measure and spectral tail process of regularly varying time series. The Annals of Applied Probability, 28, 3884-3921. Peer Reviewed
Dufresne François, Hashorva Enkelejd, Ratovomirija Gildas ; Toukourou Youssouf (2018). On age difference in joint lifetime modelling with life insurance annuity applications. Annals of Actuarial Science, 12, 350-371. Peer Reviewed
Dunlop Claire, Radaelli Claudio ; Trein Philipp (2018). Learning in Public Policy : Analysis, Modes and Outcomes. Palgrave Macmillan.
Dunlop Claire, Radaelli Claudio ; Trein Philipp (2018). Introduction : The Family Tree of Policy Learning. Learning in Public Policy : Analysis, Modes and Outcomes (pp. 1-25). Palgrave Macmillan. Peer Reviewed
Fuino M. , Wagner J. (2018). Long-Term Care Models and Dependence Probability Tables by Acuity Level: New Empirical Evidence from Switzerland. Insurance: Mathematics and Economics, 81, 51-70. Peer Reviewed
Fuino M. , Wagner J. (2018). Old-Age Care Prevalence in Switzerland: Drivers and Future Development. European Actuarial Journal, 8, 321-362. Peer Reviewed
Gong Chengping , Ling Chengxiu (2018). Robust Estimations for the Tail Index of Weibull-Type Distribution. Risks, 15.
Hashorva E. (2018). DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES. Dependence Modelling, 6, 88–101. Peer Reviewed
Hashorva E. (2018). Representations of max-stable processes via exponential tilting. Stochastic Processes and their Applications, 128, 2952-2978. Peer Reviewed
Hashorva E., Ratovomirija G., Tamraz M. ; Bai Y. (2018). Some mathematical aspects of price optimisation. Scandinavian Actuarial Journal, 2018, 379-403. Peer Reviewed
Hashorva E., Seleznjev O. ; Tan Z. (2018). Approximation of maximum of Gaussian random fields. Journal of Mathematical Analysis and Applications, 457, 841-867.
Kosiński K.M. , Liu P. (2018). Sample path properties of reflected Gaussian processes. Latin American Journal of Probability and Mathematical Statistics, 15, 453. Peer Reviewed
Maichel-Guggemoos L. , Wagner J. (2018). Profitability and Growth in Motor Insurance Business – Empirical Evidence from Germany. Geneva Papers on Risk and Insurance - Issues and Practice, 43, 126-157. Peer Reviewed
Mau S., Pletikosa Cvijikj I. ; Wagner J. (2018). Forecasting the next likely purchase events of insurance customers: A case study on the value of data-rich multichannel environments. International Journal of Bank Marketing, 36, 1125-1144. Peer Reviewed
Mirza C. , Wagner J. (2018). Policy Characteristics and Stakeholder Returns in Participating Life Insurance: Which Contracts Can Lead to a Win-Win?. European Actuarial Journal, 8, 291-320. Peer Reviewed
Müller K., Schmeiser H. ; Wagner J. (2018). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance, 10, 204-226. Peer Reviewed
Müller P. (2018). Essays on Funding Mechanisms, Asset Allocation and Calibration of Annuities in Swiss Pension Funds. Université de Lausanne, Faculté des hautes études commerciales. Wagner J. (Dir.)
Müller P. , Wagner J. (2018, Aug). How Do the Consideration of Non-Normal Return Distributions and of Higher Moments Influence the Optimal Asset Allocation in Swiss Pension Funds?. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2018. Peer Reviewed
Staudt Y. , Wagner J. (2018). What policyholder and contract features determine the evolution of non-life insurance customer relationships? : A case study analysis. International Journal of Bank Marketing, 36, 1098-1124. Peer Reviewed
Staudt Y. , Wagner J. (2018). What Customer, Policy and Distribution Characteristics Drive the Development of Insurance Customer Relationships? – A Case Study Analysis. International Journal of Bank Marketing, 36, 1098-1124. Peer Reviewed
Tamraz Maissa (2018). Mixture copulas and insurance applications. Annals of Actuarial Science, 12, 391-411. Peer Reviewed
Tamraz Maissa , Vernic Raluca (2018). ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION. ASTIN Bulletin, 48, 841-870. Peer Reviewed
Trein Philipp (2018). Healthy or Sick ? : Coevolution of Health Care and Public Health in a Comparative Perspective. Cambridge University Press.
Trein Philipp (2018). Median Problem Pressure and Policy Learning : An Exploratory Analysis of European Countries. Learning in Public Policy : Analysis, Modes and Outcomes (pp. 243-266). Palgrave Macmillan. Peer Reviewed
Trein Philipp (2018). ESPN Thematic Report on Inequalities in access to healthcare Switzerland. European Commission.
Trein Philipp (2018). ESPN Flash Reports : Cost Containment and Equity Concerns in Swiss Healthcare Policy. European Commission.
Trein Philipp (2018). ESPN Thematic Report on Challenges in Long-term Care in Switzerland. European Commission.

2017

Albrecher H., Azcue P. ; Muler N. (2017). Optimal dividend strategies for two collaborating insurance companies. Advances in Applied Probability, 49, 515-548. Peer Reviewed
Albrecher H., Beirlant J. ; Teugels J.L. (2017). Reinsurance : Actuarial and Statistical Aspects. John Wiley & Sons, Ltd, Chichester. Peer Reviewed
Albrecher H., Boxma O.J., Essifi R. ; Kuijstermans R. (2017). A queueing model with randomized depletion of inventory. Probability in the Engineering and Informational Sciences, 31, 43-59. Peer Reviewed
Albrecher H. , Cani A. (2017). Risk Theory with Affine Dividend Payment Strategies. Number Theory – Diophantine Problems, Uniform Distribution and Applications (pp. 25-60). Springer International Publishing. Peer Reviewed
Albrecher H. , Daily-Amir D. (2017). On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition. International Journal of Data Analysis Techniques and Strategies, 9, 287-299. Peer Reviewed
Albrecher H. , Ivanovs J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and their Applications, 127, 643-656. Peer Reviewed
Albrecher H. , Ivanovs J. (2017). On the joint distribution of tax payments and capital injections for a Lévy risk model. Probability and Mathematical Statistics, 37, 219-227. Peer Reviewed
Asimit V., Hashorva E. ; Kortschak D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28, 403-419. Peer Reviewed
Asmussen S., Hashorva E., Laub P. ; Taimre T. (2017). Tail asymptotics of light-tailed Weibull-like sums . Probability and Mathematical Statistics, 37, 235-256. Peer Reviewed
Bai L. (2017). Extremes of α(t)-locally stationary Gaussian processes with non-constant variances. Journal of Mathematical Analysis and Applications, 446, 248-263. Peer Reviewed
Bai L. , Luo L. (2017). Parisian ruin of the Brownian motion risk model with constant force of interest. Statistics & Probability Letters, 120, 34-44. Peer Reviewed
Debicki K., Engelke S. ; Hashorva E. (2017). Generalized Pickands constants and stationary max-stable processes. Extremes, 20, 493-517. Peer Reviewed
Debicki K. , Hashorva E. (2017). On extremal index of max-stable processes. Probability and Mathematical Statistics, 37, 299-317. Peer Reviewed
Debicki K., Hashorva E., Ji L. ; Ling C. (2017). Comparison Inequalities for Order Statistics of Gaussian Arrays. Latin American Journal of Probability and Mathematical Statistics, 14, 93-116. Peer Reviewed
Dȩbicki K., Hashorva E. ; Liu P. (2017). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances in Applied Probability, 49, 1037-1066. Peer Reviewed
Dȩbicki K., Liu P., Mandjes M. ; Sierpińska-Tułacz I. (2017). Lévy-driven GPS queues with heavy-tailed input. Queueing Systems, 85, 249-267. Peer Reviewed
Dȩbicki Krzysztof, Hashorva Enkelejd ; Liu Peng (2017). Extremes of γ-reflected Gaussian processes with stationary increments. ESAIM: Probability and Statistics, 21, 495-535. Peer Reviewed
Debiicki K., Hashorva E. ; Liu P. (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes, 20, 333-392. Peer Reviewed
Deng P. (2017). Boundary non-crossing probabilities for Slepian process. Statistics & Probability Letters, 122, 28-35. Peer Reviewed
Farkas Julia, Hashorva Enkelejd ; Piterbarg Vladimir I. (2017). Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices. Analytical and Computational Methods in Probability Theory, 251-264. Peer Reviewed
Hashorva E., Ratovomirija G. ; Tamraz M. (2017). On some new dependence models derived from multivariate collective models in insurance applications. Scandinavian Actuarial Journal, 2017, 730-750. Peer Reviewed
Liu P., Zhang C. ; Ji L. (2017). A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters, 120, 28-33. Peer Reviewed
Liu P. , Ji L. (2017). Extremes of locally stationary chi-square processes with trend. Stochastic Processes and their Applications, 127, 497-525. Peer Reviewed
Maggetti Martino, Ewert Christian ; Trein Philipp (2017). Not Quite the Same : Regulatory Intermediaries in the Governance of Pharmaceuticals and Medical Devices. The ANNALS of the American Academy of Political and Social Science, 670, 152-169. Peer Reviewed
Müller P. , Wagner J. (2017). The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis. The Geneva Papers on Risk and Insurance - Issues and Practice, 42, 423-452. Peer Reviewed
Peng X. , Luo L. (2017). Finite time Parisian ruin of an integrated Gaussian risk model. Statistics & Probability Letters, 124, 22-29. Peer Reviewed
Prettenthaler F., Albrecher H., Asadi P. ; Köberl J. (2017). On flood risk pooling in Europe. Natural Hazards, 88, 1-20. Peer Reviewed
Ratovomirija G., Tamraz M. ; Vernic R. (2017). On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. Insurance: Mathematics and Economics, 74, 197-209. Peer Reviewed

2016

Albin P., Hashorva E., Ji L. ; Ling C. (2016). Extremes and limit theorems for difference of chi-type processes. ESAIM: Probability and Statistics, 20, 349-366. Peer Reviewed






 
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